Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0054
Annualized Std Dev 0.1295
Annualized Sharpe (Rf=0%) -0.0418

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1038
Quartile 1 -0.0032
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0035
Maximum 0.1673
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0082
Skewness 0.5382
Kurtosis 52.2060

Downside Risk

Close
Semi Deviation 0.0059
Gain Deviation 0.0063
Loss Deviation 0.0070
Downside Deviation (MAR=210%) 0.0111
Downside Deviation (Rf=0%) 0.0059
Downside Deviation (0%) 0.0059
Maximum Drawdown 0.5572
Historical VaR (95%) -0.0109
Historical ES (95%) -0.0191
Modified VaR (95%) -0.0035
Modified ES (95%) -0.0035
From Trough To Depth Length To Trough Recovery
1999-02-03 2008-12-15 2012-10-01 -0.5572 3438 2482 956
2013-01-11 2020-03-18 NA -0.3361 2062 1808 NA
2012-11-30 2012-12-26 2013-01-10 -0.0498 28 18 10
2012-11-13 2012-11-15 2012-11-21 -0.0264 7 3 4
2012-10-04 2012-11-05 2012-11-09 -0.0237 25 21 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.8 0.8 0.4 -0.8 0 -0.4 0.9 0 -0.5 2 -0.5 1.1 3.7
2000 0 0.5 2 -2 0.5 1.4 -0.4 0.9 0.9 -0.5 -1.4 1.3 3.3
2001 0.5 0.3 1 0.5 -0.1 0 0 0.8 0.8 0.6 0.1 0.5 5.1
2002 0.8 -0.3 0.5 0.2 0 0.6 0.7 0.4 -0.6 0.4 0.2 0.4 3.3
2003 0.4 -0.4 -0.1 -0.2 0.2 0.6 -1 1.2 -0.1 0.8 -0.6 0.1 0.8
2004 -0.2 -0.4 0.4 0.2 0 0.6 0.5 0 -0.4 0.5 0.2 0.1 1.6
2005 0.1 0 0.2 0.4 0.1 0.2 0.1 0.9 0.3 0.4 0.3 0.1 3.2
2006 -0.3 -0.7 0.3 0.5 0.4 0.2 0.5 0 0 0.6 0.6 0.3 2.5
2007 0.3 -0.1 -0.3 0.4 0.3 1 0.2 0.5 0.2 0.2 0.1 0.6 3.4
2008 0.6 -1.9 0.2 -0.3 0.1 -0.4 0.4 -0.2 2.7 -0.5 -0.7 2.2 2.1
2009 1.1 -1.1 0.4 0.4 -0.2 -0.4 0.8 1.3 0.4 -2 -0.1 0.4 1
2010 0.6 0.2 -0.5 0 0.2 0.1 0.4 -0.3 0.1 -0.1 -1.6 1.4 0.6
2011 1.3 0.2 0.8 0.7 -0.8 0.1 1.5 0.9 0.3 0.3 -0.2 -0.1 5.1
2012 0.1 0.8 -0.1 0 0.3 0.8 -0.2 -0.4 0.9 0.5 -0.3 0.9 3.2
2013 0.2 -0.2 -0.6 0.3 -2.5 0 -0.7 -0.3 -0.1 -0.4 0.1 0.1 -3.9
2014 0.6 -0.3 0.1 0.2 -0.6 -0.5 0.1 -0.1 0.8 -0.1 0.1 0.1 0.4
2015 0.8 0.9 0.1 -0.3 -0.2 0.2 1 -0.3 -0.1 0.7 0.4 0.4 3.5
2016 -0.1 0.6 -0.2 0.3 0.9 -0.4 0.1 0 -0.4 -0.3 -0.4 0.6 0.9
2017 -0.5 -0.3 0.1 0.5 -0.1 0.3 0.9 -0.3 0.1 -0.5 0 0.1 0.3
2018 0 -0.8 0.1 -0.1 0.2 0.1 -0.4 -0.2 -0.4 0.1 0.8 0.8 0.2
2019 0.2 0.3 0.1 0.2 0 0 0.3 0 0.1 -0.1 -0.1 0 1
2020 -0.1 -1.2 -3.2 0 0.9 0.5 0.1 0.7 0.3 -0.5 0.1 0.1 -2.3
2021 -0.5 0 0.3 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  16.5 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  16.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16.4 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  16.5 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  16.4 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart